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Breakout Nifty BN Strategy

该策略在开盘后首个15分钟区间突破时交易，并结合成交量过滤和ATR跟踪止损。

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Breakout strategy using highest/lowest channel with ATR trailing stop.
/// </summary>
public class BreakoutNiftyBnStrategy : Strategy
{
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<int> _channelLength;
	private readonly StrategyParam<DataType> _candleType;

	public int AtrLength { get => _atrLength.Value; set => _atrLength.Value = value; }
	public decimal AtrMultiplier { get => _atrMultiplier.Value; set => _atrMultiplier.Value = value; }
	public int ChannelLength { get => _channelLength.Value; set => _channelLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public BreakoutNiftyBnStrategy()
	{
		_atrLength = Param(nameof(AtrLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length", "ATR period", "General");

		_atrMultiplier = Param(nameof(AtrMultiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Multiplier", "ATR stop multiplier", "General");

		_channelLength = Param(nameof(ChannelLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Channel Length", "Donchian channel period", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var highest = new Highest { Length = ChannelLength };
		var lowest = new Lowest { Length = ChannelLength };
		var atr = new AverageTrueRange { Length = AtrLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(highest, lowest, atr, ProcessCandle)
			.Start();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent)
		);

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal high, decimal low, decimal atr)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (Position == 0)
		{
			if (candle.ClosePrice >= high)
			{
				BuyMarket();
			}
			else if (candle.ClosePrice <= low)
			{
				SellMarket();
			}
		}
	}
}